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I'm currently using QuantLib to perform financial calculations in my application, but I'm having trouble finding a DayCount convention that supports the India financial year calendar (April 1 to March 31).

I've tried using the Actual/365 (Fixed) convention, but this assumes a calendar year of January 1 to December 31. I've also looked into the Actual/Actual (ISDA) convention, but I'm not sure if this is appropriate for India financial year calculations.

Does anyone know if QuantLib has a DayCount convention that supports India financial year calculations? If not, what would be the best approach to implement this in my application?

Thanks in advance for any help or guidance you can provide!

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To my understanding, QuantLib does not have a notion of a fiscal year. It does implement an Indian calendar, which is the calendar used by the National Stock Exchange of India and which can be initialized via

Calendar myCal=India();

In terms of the day count convention you would then have to find the appropriate one for your specific use case. For government securities, the Reserve Bank of India states that the day count convention is 30/360 [1].

In general it is not clear to me how the fiscal year and the day count convention are connected, as one could look at companies with varying fiscal year start and end periods, but with the same day count convention.

[1] https://web.archive.org/web/20211016190925/https://m.rbi.org.in/scripts/PublicationsView.aspx?id=9488

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    $\begingroup$ The actual days in the denominator are not January 1 to December 31, but rather some other 1-year period. This is used not only in India. $\endgroup$
    – Dimitri Vulis
    Mar 10 at 18:27
  • $\begingroup$ Thank you for clarifying the question for me. I am possibly missing something obvious, but is this only impacting leap years? $\endgroup$
    – Hans-Peter Schrei
    Mar 10 at 18:53
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    $\begingroup$ Yes, it's almost numeric noise. The denominator is 365 or 366 depending on where Feb 29th gets bucketed. $\endgroup$
    – Dimitri Vulis
    Mar 10 at 18:55
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    $\begingroup$ yes @DimitriVulis there are two different methods. 1st ActactISDA where demoninator will be 366 across the calculation periods during leap year and 2nd actact afb The denominator is 365 or 366 depending on where Feb 29th gets bucketed. [isda.org/a/pIJEE/The-Actual-Actual-Day-Count-Fraction-1999.pdf]. but for my question the calculation or the consideration of taking denominator 365 or 366 depends on dates between April 1 to March 31. $\endgroup$
    – Roshan Yadav
    Mar 11 at 5:55

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